I've installed samba on the host and created a share that the VM can access.
There may well be other ways; I'd be interested in the possibility of attaching a virtual disk as well (same functionality exists in VirtualBox to share host directories).
I suppose that may be because Proxmox 1 and 2 are not supported [1] and you could look at upgrading to Proxmox 3...
If not, you could perhaps contact the proxmox guys for a support contract to cover those old versions.
[1] I read in a forum post that fixes won't be backported - which IMO is...
Re: FEATURE REQUEST: Option for not deleting the OpenVZ private directory while migra
As indicated in the wiki, please file your improvement request at
https://bugzilla.proxmox.com/
Thanks.